A non-bayesian approach to estimation using tested priors

A two stage sampling scheme for estimating the mean of a distribution, proposed by Katti (1962), is investigated and some of its properties are generalized. The method utilizes subjective information in the analysis, but is still within the classical framework. The generalized mean square error of the estimator is computed as the loss function and is compared with that of the usual classical approach. Modifications are suggested to improve the efficiency of the estimator by incorporating the uncertainty of the subjective information. The procedure, which is referred to as "the Method of Tested Priors" is an alternate way of using subjective information without necessarily agreeing with the philosophical aspect of the Bayesian approach.